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1 THE ASSOCIATION FOR REAL ESTATE SECURITIZATION May-June

3 ARES SPECIAL ARES SYMPOSIUM 2005 November-December

4 ARES SPECIAL 4

5 5 November-December ARES SPECIAL

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41 ARES SPECIAL Asia Pacific Europe, Africa & Middle East America Australia New Zealand Netherlands, United Kingdom Canada, United States Hong Kong Singapore Malaysia Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Norway, South Africa, Spain, Sweden, Switzerland Japan Philippines South Korea Taiwan Thailand Czech Republic, Estonia, Greece, Hungary, Israel, Italy, Poland, Portugal Chile, Mexico India Indonesia P.R. China Russia, United Arab Emirates Argentina, Brazil, Colombia, Costa Rica Vietnam Egypt, Romania, Saudi Arabia Turkey, Ukraine November-December

42 ARES SPECIAL Source: Real Capital Analytics, LaSalle Investment Management Research * Plans with over $25 billion in assets and active real estate program Source: 2005 Institutional Real Estate, Inc. s Annual Plan Sponsor Survey 42

43 ARES SPECIAL NCREIF Total Return Forecast Source: NCREIF, LaSalle Investment Management Research 6%-9% 10% -15% 15%+ Source: LaSalle Investment Management Equity Mkt Cap (USD, Billions) UnitedStates Canada Singapore Australia New Zealand Japan Hong Kong France Netherlands Belgium Source: Source: S&P Citigroup World REIT Index (Data represents constituents of S&P/Citi REIT Index; does not represent all REITs) November-December

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72 ARES REPORT 72

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80 ARES REPORT 80

81 81 November-December

82 x JREIT (t) x JREIT (t) = 1 (s) + 2 (s) x JREIT (t 1) +(s)(t) 1 (s) 2 (s)(s) (t) 1 (1) 1 (2) (1)(2) x JREIT (t) 1 (s) 2 (s)(s) 1 (s) 2 (s)(s) L( 1 (s) 2 (s)(s)) T = log f (x JREIT (t) s(t), 1 (s) 2 (s)(s)) t1 f T ( t) s( t), θ ( s), θ ( s), σ ( s)) = 1 [ ξˆ( t t 1) η( )] ( x t JREIT 1 2 Pr ob[ s( t) = 1 X ξˆ( t t 1) = Pr ob[ s( t) = 2 X X REIT REIT REIT ( t 1), θ ( s), θ ( s), σ ( s)] 1 ( t 1), θ ( s), θ ( s), σ ( s)] ( t 1) = ( x ( t 1), x ( t 2),..., x (0)) REIT REIT REIT

83 η( t) = = f ( x f ( x JREIT JREIT ( t) s( t) = 1, X ( t) s( t) = 2, X 1 ( x exp{ 2πσ (1) 1 ( x exp{ 2πσ (2) JREIT JREIT ξˆ( t t 1) η( t) ξˆ( t t) = T 1 [ ξˆ( t t 1) η( t)] ξˆ ( t + 1 t) = ( t 1), θ ( s), θ ( s), σ ( s)) ( t 1), θ ( s), θ ( s), σ ( s)) ( t) θ (1) θ (1) x σ (1) ( t) θ (2) θ (2) x 2 σ (2) REIT REIT 2 ( t 1)) } 2 ( t 1)) } (s) x JREIT (t) JREIT JREIT Pr ob( s = 1 s = 1), Pr ob( s = 2 s = 1) ξˆ( t t) Pr ob( s = 1 s = 2), Pr ob( s = 2 s = 2) 1 (1) 1 (2) 2 (1) 2 (2) (1) (2) x JREIT (t) 1 (s) 2 (s)(s) 1 (2) (1)(2) (1)(2) (1)(2) November-December

84 1 (1) = 1 (2) 2 (1) = 2 (2) 1 (1) 1 (2) 2 (1) 2 (2) (1) (2) 1 (s) 2 (s)(s) 1 (1) = 1 (2) 2 (1) = 2 (2) (s) x JREIT (t) = x JREIT (t 1) +(s)(t) 1 2 (1)(2) 1 (1) = 1 (2) 2 (1) = 2 (2)=0 1 (1) 1 (2) 2 (1) 2 (2) (1) (2) (1)(2) (1)(2) 2 1 (1) = 1 (2) 2 (1) = 2 (2) = 0 x JREIT (t) = 1 +(s)(t) (1)(2) (1)(2) 84

85 (1) =(2) 1 (1) 1 (2) 2 (1) 2 (2) (1) (2) (1) =(2) x JREIT (t) = 1 (s) + 2 (s) x JREIT (t 1) +(t) (1)(2) 1 (2) (1) =(2) 2 (1) = 2 (2) = 0 x JREIT (t) = 1 (s)+(t) 2 (1) = 2 (2)=0(1) =(2) 1 (1) 1 (2) 2 (1) 2 (2) (1) (2) (1)(2) 1 (1) 1 (2) November-December

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91 ARES REPORT ARES REPORT 91 November-December. 2005

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101 x 1 x 2 x n x x 1 x 2 n x n x H n 1 x 1 1 x2 1 xn x G n x 1 x 2 x n November-December

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103 n R G R t RG n 1 R 1 1R 2 1R n 1 n R G t R t t wt w0 n wn 1 wt w t 1 R G n 1 n 1 R G n w n w 0 w1 w2 w w0 w 1 w 1 R t R G n n n 1 1 R 1 1R 2 1R n n 1 R 1 1R 2 1 R n 1R n G 1 R 1 1R 2 1R n n R G n 1 R 1 1R 2 1R n 1 November-December

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